*** I wrote up the following in a hurry to help someone with the finer points of Constraints in Maya. ***
This is the way I do it.
Create a Locator...name it something you'll remember like 'Ball_in_Right_Hand'
Duplicate this Locator and rename the Duplicate 'Ball_in_Right_Hand_MANIP'
Open up the Outliner Window by going to Window, Outliner and then Middle Mouse Drag the Duplicate onto the Original so that it is a Child.
Now select the hand control, and then Shift Click the Original Locator ( Ball_in_Right_Hand in this example ) and goto Animate->Constrain->Parent Constraint->Options. (If you don't see the Constrain Menu make sure you've selected Animation from the Dropdown menu in the top left corner).
In the Parent Constraint Options make sure Maintain Offset is OFF and then hit Apply.
The Locator should pop to the hand.
Select the child, MANIP and then Shift Click the object you want to constrain to the hand and then Parent Constraint. You don't need to go to the Options this time. It should pop to the hand and now you can adjust the position of the object using the MANIP locator.
If you notice the locator isn't following the hand anymore, its probably because you've set a key on the Parent. Select it and Make sure BlendParent in the Channel Editor on the Right is set to '1'. You may need to go into the graph editor and set it to 1 on all the keys.